Pivotal bootstrap for quantile-based modal regression.

In this paper, we develop uniform inference methods for the conditional mode based on quantile regression. Specifically, we propose to estimate the conditional mode by minimizing the derivative of the estimated conditional quantile function defined by smoothing the linear quantile regression estimator, and develop a novel bootstrap method, which we call the pivotal bootstrap, for our conditional mode estimator. Building on high-dimensional Gaussian approximation techniques, we establish the validity of simultaneous confidence rectangles constructed from the pivotal bootstrap for the conditional mode. We also extend the preceding analysis to the case where the dimension of the covariate vector is increasing with the sample size. Finally, we conduct simulation experiments and a real data analysis using U.S. wage data to demonstrate the finite sample performance of our inference method.